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06/13/2023
Model-Free Market Risk Hedging Using Crowding Networks
Crowding is widely regarded as one of the most important risk factors in...
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04/02/2021
Distributional Offline Continuous-Time Reinforcement Learning with Neural Physics-Informed PDEs (SciPhy RL for DOCTR-L)
This paper addresses distributional offline continuous-time reinforcemen...
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11/03/2020
Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
This paper presents a tractable model of non-linear dynamics of market r...
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02/25/2020
G-Learner and GIRL: Goal Based Wealth Management with Reinforcement Learning
We present a reinforcement learning approach to goal based wealth manage...
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05/16/2018
Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy
We present a simple model of a non-equilibrium self-organizing market wh...
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01/17/2018
The QLBS Q-Learner Goes NuQLear: Fitted Q Iteration, Inverse RL, and Option Portfolios
The QLBS model is a discrete-time option hedging and pricing model that ...
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12/13/2017
Inverse Reinforcement Learning for Marketing
Learning customer preferences from an observed behaviour is an important...
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12/13/2017
QLBS: Q-Learner in the Black-Scholes(-Merton) Worlds
This paper presents a discrete-time option pricing model that is rooted ...
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10/03/2017
